CAJ | 학술논문

投资者情绪对其决策有直接的影响，投资者的风险厌恶系数与其已有的投资业绩有关。本文在假设投资者风险厌恶且其风险厌恶系数受其损益情绪影响的条件下，以投资者损益情绪效用最大化为决策目标，建立基于投资者损益情绪的投资组合模型，有效地刻画出投资者的损益情绪对投资组合决策的影响。采用上证市场的行业指数进行实证分析，并与Markowitz模型进行对比，结果表明，情绪投资组合模型的组合效果更好。
투자자정서대기결책유직접적영향，투자자적풍험염악계수여기이유적투자업적유관。본문재가설투자자풍험염악차기풍험염악계수수기손익정서영향적조건하，이투자자손익정서효용최대화위결책목표，건립기우투자자손익정서적투자조합모형，유효지각화출투자자적손익정서대투자조합결책적영향。채용상증시장적행업지수진행실증분석，병여Markowitz모형진행대비，결과표명，정서투자조합모형적조합효과경호。
The investors’ emotion has direct influence on the investment decision. The risk aversion coefficient has a strong relation with the investor's investment performance. On the assumption that the investor risk aversion and the degree of risk aversion impacted by its emotional conditions, takes maximizing investors profit or loss sentiment utility as the decision objective, establishes investment portfolio model based on investors profit or loss emotion, ef-fectively depict the effect of investor sentiment on the profit or loss and investment portfolio decision. We used Shang-hai stock market index of the industry to analyze, and compared with Markowitz model, the practice shows that the emotional investment combination model has better combination efficiency.